Almost Higher Order Stochastic Dominance

Cuizhen Niu; Xu Guo

RAIRO - Operations Research - Recherche Opérationnelle (2014)

  • Volume: 48, Issue: 1, page 103-107
  • ISSN: 0399-0559

Abstract

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In this paper, we develop the concept of almost stochastic dominance for higher order preferences and investigate the related properties of this concept.

How to cite

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Niu, Cuizhen, and Guo, Xu. "Almost Higher Order Stochastic Dominance." RAIRO - Operations Research - Recherche Opérationnelle 48.1 (2014): 103-107. <http://eudml.org/doc/275024>.

@article{Niu2014,
abstract = {In this paper, we develop the concept of almost stochastic dominance for higher order preferences and investigate the related properties of this concept.},
author = {Niu, Cuizhen, Guo, Xu},
journal = {RAIRO - Operations Research - Recherche Opérationnelle},
keywords = {almost stochastic dominance; expected-utility maximization; higher-order preferences},
language = {eng},
number = {1},
pages = {103-107},
publisher = {EDP-Sciences},
title = {Almost Higher Order Stochastic Dominance},
url = {http://eudml.org/doc/275024},
volume = {48},
year = {2014},
}

TY - JOUR
AU - Niu, Cuizhen
AU - Guo, Xu
TI - Almost Higher Order Stochastic Dominance
JO - RAIRO - Operations Research - Recherche Opérationnelle
PY - 2014
PB - EDP-Sciences
VL - 48
IS - 1
SP - 103
EP - 107
AB - In this paper, we develop the concept of almost stochastic dominance for higher order preferences and investigate the related properties of this concept.
LA - eng
KW - almost stochastic dominance; expected-utility maximization; higher-order preferences
UR - http://eudml.org/doc/275024
ER -

References

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  1. [1] M. Leshno and H. Levy, Preferred by “all” and preferred by “most” decision makers: Almost stochastic dominance. Manage. Sci.48 (2002) 1074–1085. Zbl1232.90224
  2. [2] H. Levy, Stochastic Dominance: Investment Decision Making Under Uncertainty. Springer, New York (2006). Zbl1109.91037MR2239375
  3. [3] M. Levy, Almost Stochastic Dominance and stocks for the long run. Eur. J. Oper. Res.194 (2009) 250–257. Zbl1158.91384MR2469204
  4. [4] T.G. Bali, K.O. Demirtas, H. Levy and A. Wolf, Bonds versus stocks: Investors’ age and risk taking. J. Monetary Econ.56 (2009) 817–830. 
  5. [5] H. Levy, M. Leshno and B. Leibovitch, Economically relevant preferences for all observed epsilon. Ann. Oper. Res.176 (2010) 153–178. Zbl1233.91076MR2607162
  6. [6] A. Lizyayev and A. Ruszczynski, Tractable almost stochastic dominance. Eur. J. Oper. Res.218 (2012) 448–455. Zbl1244.91112MR2874464
  7. [7] L. Eeckhoudt and H. Schlesinger, Putting risk in its proper place. Am. Econ. Rev.96 (2006) 280–289. 
  8. [8] M.M. Denuit and L. Eeckhoudt, A general index of absolute risk attitude. Manage. Sci.56 (2010) 712–715. 
  9. [9] W. Ogryczak and A. Ruszczynski, On consistency of stochastic dominance and mean-semideviation models. Math. Program.89 (2001) 217–232. Zbl1014.91021MR1816501

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